On-line portfolio selection strategy with prediction in the presence of transaction costs.

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  • Additional Information
    • Subject Terms:
      PORTFOLIO management (Investments); TRANSACTION costs; STRATEGIC planning; STOCK exchanges
    • Subject Terms:
      ENGLAND; LONDON (England)
    • Abstract:
      An on-line portfolio selection strategy with transaction costs is presented. It ensures investors to achieve at least the same exponential growth rate of wealth as the best stock for a long term. This equipped with a new prediction method based on “cross rates” for price relative sequences yields a profitable algorithm, which has been tested on real data from the London Stock Exchange. [ABSTRACT FROM AUTHOR]
    • Abstract:
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